开发者:上海品职教育科技有限公司隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

学习体验
App下载
手机上的品职教育

随时随地学习课程，支持音视频下载！
- 扫码下载品职教育APP
进入课程
登录 | 注册

jeffrey19861001 · 2022年03月11日

没有理解为什么BPVT=0？

NO.PZ2018113001000075

问题如下：

Matthew, a junior analyst, manages a portfolio W. The portfolio is fully invested in US Treasuries。Matthew intends to fully hedge this bond portfolio against a rise in interest rates。

Exhibit 1 presents selected data on Portfolio W, and the relevant Treasury futures contract, and the cheapest-to deliver (CTD) bond.

Based on Exhibit 1, the number of Treasury futures contracts Matthew should sell to fully hedge Portfolio W is closest to:

选项：

A.

652

B.

651

C.

745

解释：

B is correct

$BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33$

Matthew should sell 651 Treasury bond futures contracts.

中文解析：

本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。

没有理解为什么BPVT=0？

添加评论

0
0

1 个答案

已采纳答案

Hertz_品职助教 · 2022年03月13日

嗨，爱思考的PZer你好：

同学你好~

是根据题干的第三句话“Matthew intends to fully hedge this bond portfolio against a rise in interest rates。”，这句话中说想要fully hedge，就是完全不受利率的影响，也就是需要将久期调为0。又因为BPV= MV*MDur*1bp，所以也就是将BPV调节为0

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

添加评论

1
0

1
回答
0
关注
365
浏览

我要回答关注问题

相关问题

NO.PZ2018113001000075问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652B.651C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures contracts. 中文解析本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。为什么是除以128.88？为什么不是除以128.88/100*100,000*9*0.0001=115.992

2024-08-27 06:31 1 · 回答

NO.PZ2018113001000075 问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652 B.651 C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures contracts. 中文解析本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。如题

2023-08-26 15:09 1 · 回答

NO.PZ2018113001000075 问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652 B.651 C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures contracts. 中文解析本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。请问这题如果没有给CTBPV，那么用Futures应该怎么计算呀

2023-08-15 10:55 1 · 回答

NO.PZ2018113001000075 问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652 B.651 C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures contracts. 中文解析本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。为什么这道题后面不需要 x S/f 也就是 100000/143.2 但是有的题目需要？

2023-08-13 21:50 1 · 回答

NO.PZ2018113001000075 问题如下 Matthew, a junior analyst, manages a portfolio W.The portfolio is fully investein US Treasuries。Matthew inten to fully hee this bonportfolio against a rise in interest rates。Exhibit 1 presents selecteta onPortfolio W, anthe relevant Treasury futures contract, anthe cheapest-to liver(CT bon Baseon Exhibit 1, the number ofTreasury futures contracts Matthew shoulsell tofully hee Portfolio W is closest to: A.652 B.651 C.745 B is correctBPVHR=BPVT−BPVPBPVCTCF=0−111,924.57128.88×0.75=−651.33BPVHR=\frac{BPV_T-BPV_P}{BPV_{CT}\times CF=\frac{0-111,924.57}{128.88}\times0.75=-651.33BPVHR=BPVCTBPVT−BPVP×CF=128.880−111,924.57×0.75=−651.33Matthew shoulsell 651 Treasury bonfutures contracts. 中文解析本题考察的是利用期货合约调节组合的久期，直接带入上述公式计算即可。注意最后合约份数需要四舍五入取整数，负号代表卖出期货合约。计算结果是−651.33，那么你卖出651份合约应该是不够的吧，难道不应该是卖出652份才能fully hee吗？

2023-06-17 11:05 1 · 回答